Correlation Between SBF 120 and Immersion
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By analyzing existing cross correlation between SBF 120 and Immersion SA, you can compare the effects of market volatilities on SBF 120 and Immersion and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in SBF 120 with a short position of Immersion. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Immersion.
Diversification Opportunities for SBF 120 and Immersion
Excellent diversification
The 3 months correlation between SBF and Immersion is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Immersion SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immersion SA and SBF 120 is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on SBF 120 are associated (or correlated) with Immersion. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immersion SA has no effect on the direction of SBF 120 i.e., SBF 120 and Immersion go up and down completely randomly.
Pair Corralation between SBF 120 and Immersion
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the Immersion. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 5.88 times less risky than Immersion. The index trades about -0.16 of its potential returns per unit of risk. The Immersion SA is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 175.00 in Immersion SA on August 25, 2024 and sell it today you would lose (7.00) from holding Immersion SA or give up 4.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Immersion SA
Performance |
| Timeline |
SBF 120 and Immersion Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Immersion SA
Pair trading matchups for Immersion
Pair Trading with SBF 120 and Immersion
The main advantage of trading using opposite SBF 120 and Immersion positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Immersion can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Immersion will offset losses from the drop in Immersion's long position.| SBF 120 vs. Mauna Kea Technologies | SBF 120 vs. Axway Software | SBF 120 vs. Soditech SA | SBF 120 vs. Guandao Puer Investment |
| Immersion vs. Sartorius Stedim Biotech | Immersion vs. Lectra SA | Immersion vs. Teleperformance SE | Immersion vs. Trigano SA |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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